This could also be why Thor is missing in the solicits for his own book. Is Nightmare strong enough to capture Thor as All-father, tho? I really only know Nightmare from his one appearance in JIM. Also, if he does get captured and no one's around (besides Loki), and people are aware that Loki and Thor were hanging out, it looks like Loki is guilty, which would further explain Tony's hostility.
Also, yeah, I bet Nightmare was surprised. I can just imagine him being all "Villainous teamup?" and Loki being all "H*** no."